The kurtosis tag has no wiki summary.
7
votes
1answer
769 views
Skewness and Kurtosis under aggregation
Returns possess non-zero skewness and excess kurtosis. If these assets are temporally aggregated both will disappear due to the law of large numbers. To be exact, if we assume IID returns skewness ...
3
votes
1answer
902 views
How to annualize skewness and kurtosis based on daily returns
I'm trying to annualize the four moments based on a string of daily returns (continuously compounded) for 11 years.
The formulas for the annualization of the mean and the standard deviation I did ...
1
vote
1answer
321 views
derivation of formula for portfolio skewness and kurtosis
Where can I find derivation of formula for portfolio skewness and kurtosis? I can find formulas everywhere, but not their derivations?
For example, the portfolio variance formula is well known and I ...
3
votes
2answers
336 views
Distribution for High Kurtosis
Can you please advise which distribution to follow when your skewness is 0.28 and Kurtosis value is 51. Since it's leptokurtic and positively skewed I would like to fit distribution and also wanted to ...
9
votes
2answers
483 views
What is the relationship between risk aversion and preference for skewness and kurtosis in portfolio optimization?
Is there any relationship between the risk aversion coefficient in an individual's utility function (commonly used in portfolio optimization) and the preference for higher moments such as skewness and ...
2
votes
2answers
2k views
Calculating Portfolio Skewness & Kurtosis
I need to calculate the skewness and kurtosis of 2 asset portfolio, can someone please help me with the formulas and definition of terms? Thank you.
I have been using the matrices method and I am not ...
